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    題名: 美國貨幣政策的國際外溢效果:結合局部投影法和混合頻率模型之應用
    International Spillover Effects of U.S. Monetary Policy Shocks: Combining the Local Projections and MIDAS Approach
    作者: 李郁涵
    Lee, Yu-Han
    貢獻者: 林馨怡
    Lin, Hsin-Yi
    李郁涵
    Lee, Yu-Han
    關鍵詞: 混合頻率
    貨幣政策
    外溢效果
    日期: 2025
    上傳時間: 2025-07-01 15:34:15 (UTC+8)
    摘要: 本文以MIDAS結合局部投影法,在有效運用不同頻率數據的資訊,並降低模型錯誤設置對估計結果的影響下,探討美國聯準會貨幣政策的國際外溢效果。以1988年第三季至2023年第三季的實證結果顯示,聯準會升息後,多數國家的實質產出成長率衝擊反應函數趨勢與美國相似,且受衝擊程度與美國相當,或甚至高於美國影響,此代表美國貨幣政策在全球景氣循環中具關鍵影響力,亦突顯關注外溢效果的必要性。而美國升息初期,產出上升之現象,可能與貨幣政策所蘊含的資訊效果有關。此外,本文比較有無混頻的估計結果,發現單一頻率模型的衝擊反應函數較平緩,顯示若未考慮混頻,將可能低估各國所受之擊。
    參考文獻: Bacchiocchi, E., Bastianin, A., Missale, A., and Rossi, E. (2016). Structural Analysis with Mixed Frequencies: Monetary Policy, Uncertainty and Gross Capital Flows. JRC Working Papers in Economics and Finance, 2016/4.

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    描述: 碩士
    國立政治大學
    經濟學系
    112258003
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0112258003
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

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